It's not better than yogurt but can be used for different things. Yogurt contains probiotics, protein, fat, etc. and is of course very good for you (particularly your digestive tract). Whey is useful for soaking grains prior to cooking (add a tablespoon or two of whey to water and soak grains overnight). It helps break down the outer layer so they cook easier and are much easier for your body to digest. Whey does contain some protein too.

You will see whey protein powder at the store but frankly I'm not impressed with that idea. That seems to be more of a marketing thing designed to peddle what is considered by the food industry to be a waste by-product of making other food items. Personally I simply see whey as an important tool in my kitchen rather than focusing on it as a tool/food itself.